consolidated statement of financial condition - Barclays Capital

in their measurement, in accordance with ASC 820, FairValue Measurements and Disclosures (“ASC 820”).The Company’s Financial instruments owned, at fairvalue, and Financial instruments sold, but not yetpurchased, at fair value, are reflected in theConsolidated Statement of Financial Condition on atrade date basis. The fair value of a financial instrumentis the amount that would be received to sell an asset orpaid to transfer a liability in an orderly transactionbetween market participants at the measurement date(the exit price). Financial assets are marked to bid pricesand financial liabilities are marked to offer prices. Incertain circumstances, where the Company acts as amarket maker, derivative financial instruments aremarked to mid-market prices. Fair value measurementsdo not include transaction costs.ASC 820 establishes a fair value hierarchy that prioritizesthe inputs to valuation techniques used to measure fairvalue. The hierarchy gives the highest priority tounadjusted quoted prices in active markets for identicalassets or liabilities (level 1 measurements) and thelowest priority to unobservable inputs (level 3measurements). The three levels of the fair valuehierarchy under ASC 820 are described below:• Level 1• Level 2• Level 3Unadjusted quoted prices in active marketsthat are accessible at the measurement datefor identical, unrestricted assets or liabilities;Quoted prices in markets that are notconsidered to be active, or financialinstruments for which inputs to the valuationmethodology include quoted prices forsimilar assets and liabilities in active markets,and inputs that are observable for the assetor liability, either directly or indirectly, forsubstantially the full term of the financialinstrument;Prices or valuations that require inputs thatare both significant to the fair valuemeasurement and unobservable.A financial instrument’s level within the fair valuehierarchy is based on the lowest level of any input that issignificant to the fair value measurement.The Company defines active markets for equityinstruments based on the average daily volume both in9